In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a … vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to … monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to …

This paper investigates the impact of monetary policy surprises by the FED or Bundesbank/ECB on the return volatility … of German stocks and bonds using a GARCH-M model. We show that stock return volatility is susceptible to monetary policy … surprises in the United States, whereas monetary policy surprises in the Euro zone matter for bond return volatility. These …